******************************************************************************** Trades report produced on 16/01/2024 21:36 from 15/01/2024 21:36 to 16/01/2024 21:36 ******************************************************************************** ============================================================================================= Broker orders ============================================================================================= instrument_code strategy_name contract_date fill_datetime fill filled_price 9760 BOBL caleb_strategy_v3 [20240300] 2024-01-16 08:01:55 [-1] 118.190000 9761 BOBL caleb_strategy_v3 [20240300] 2024-01-16 08:03:04 [-1] 118.180000 9759 BOBL caleb_strategy_v3 [20240300] 2024-01-16 08:01:33 [-1] 118.180000 9762 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-16 09:01:59 [-1] 97.895000 9763 EURIBOR-ICE caleb_strategy_v3 [20260300] 2024-01-16 09:03:21 [-1] 97.900000 9764 GAS_US_mini caleb_strategy_v3 [20240400] 2024-01-16 14:00:47 [1] 2.435000 9765 GOLD_micro caleb_strategy_v3 [20240200] 2024-01-16 14:00:48 [1] 2041.400000 9767 GOLD_micro caleb_strategy_v3 [20240200] 2024-01-16 14:01:09 [1] 2041.300000 9757 JGB-SGX-mini caleb_strategy_v3 [20240300] 2024-01-16 03:05:21 [1] 147.430000 9772 MXP caleb_strategy_v3 [20240300] 2024-01-16 15:01:29 [1] 0.057790 9769 MXP caleb_strategy_v3 [20240300] 2024-01-16 15:00:39 [1] 0.057800 9758 NIKKEI caleb_strategy_v3 [20240300] 2024-01-16 03:05:59 [1] 35725.000000 9773 SP500_micro caleb_strategy_v3 [20240300] 2024-01-16 15:01:30 [1] 4795.250000 9770 SP500_micro caleb_strategy_v3 [20240300] 2024-01-16 15:00:41 [1] 4793.250000 9766 SUGAR11 caleb_strategy_v3 [20240500] 2024-01-16 14:00:49 [-1] 21.430000 9768 US10 caleb_strategy_v3 [20240300] 2024-01-16 15:00:38 [1] 112.203125 9771 US10 caleb_strategy_v3 [20240300] 2024-01-16 15:01:11 [1] 112.218750 ======================================================================================================================================================== Delays ======================================================================================================================================================== instrument_code strategy_name parent_reference_datetime submit_datetime fill_datetime submit_minus_generated filled_minus_submit 9757 JGB-SGX-mini caleb_strategy_v3 2024-01-15 2024-01-16 03:00:20.950 2024-01-16 03:05:21 97220.95 300.05 9758 NIKKEI caleb_strategy_v3 2024-01-15 2024-01-16 03:05:36.542 2024-01-16 03:05:59 97536.542 22.458 9760 BOBL caleb_strategy_v3 2024-01-15 2024-01-16 08:01:55.706 2024-01-16 08:01:55 115315.706 NaN 9761 BOBL caleb_strategy_v3 2024-01-15 2024-01-16 08:02:55.707 2024-01-16 08:03:04 115375.707 8.293 9759 BOBL caleb_strategy_v3 2024-01-15 2024-01-16 08:00:56.675 2024-01-16 08:01:33 115256.675 36.325 9762 EURIBOR-ICE caleb_strategy_v3 2024-01-15 2024-01-16 09:01:58.203 2024-01-16 09:01:59 118918.203 0.797 9763 EURIBOR-ICE caleb_strategy_v3 2024-01-15 2024-01-16 09:02:58.139 2024-01-16 09:03:21 118978.139 22.861 9764 GAS_US_mini caleb_strategy_v3 2024-01-12 2024-01-16 14:00:09.926 2024-01-16 14:00:47 396009.926 37.074 9766 SUGAR11 caleb_strategy_v3 2024-01-12 2024-01-16 14:00:49.559 2024-01-16 14:00:49 396049.559 NaN 9765 GOLD_micro caleb_strategy_v3 2024-01-12 2024-01-16 14:00:48.059 2024-01-16 14:00:48 396048.059 NaN 9767 GOLD_micro caleb_strategy_v3 2024-01-12 2024-01-16 14:01:09.378 2024-01-16 14:01:09 396069.378 NaN 9768 US10 caleb_strategy_v3 2024-01-12 2024-01-16 15:00:11.947 2024-01-16 15:00:38 399611.947 26.053 9771 US10 caleb_strategy_v3 2024-01-12 2024-01-16 15:01:11.614 2024-01-16 15:01:11 399671.614 NaN 9769 MXP caleb_strategy_v3 2024-01-15 2024-01-16 15:00:39.318 2024-01-16 15:00:39 140439.318 NaN 9772 MXP caleb_strategy_v3 2024-01-15 2024-01-16 15:01:12.372 2024-01-16 15:01:29 140472.372 16.628 9770 SP500_micro caleb_strategy_v3 2024-01-12 2024-01-16 15:00:40.398 2024-01-16 15:00:41 399640.398 0.602 9773 SP500_micro caleb_strategy_v3 2024-01-12 2024-01-16 15:01:29.881 2024-01-16 15:01:30 399689.881 0.119 =================================================================================================================================================================================================================================== Slippage (ticks per lot) =================================================================================================================================================================================================================================== instrument_code strategy_name trade parent_reference_price parent_limit_price mid_price side_price offside_price limit_price filled_price delay bid_ask execution versus_limit versus_parent_limit total_trading 9757 JGB-SGX-mini caleb_strategy_v3 [1] 147.6 None 147.42 147.43 147.41 147.41 147.43 0.18 -0.01 0.0 -0.02 NaN -0.01 9758 NIKKEI caleb_strategy_v3 [1] 36145.0 None 35727.5 35730.0 35725.0 35725.0 35725.0 417.5 -2.5 5.0 0.0 NaN 2.5 9760 BOBL caleb_strategy_v3 [-1] 118.16 None 118.185 118.18 118.19 118.19 118.19 0.025 -0.005 0.01 -0.0 NaN 0.005 9761 BOBL caleb_strategy_v3 [-1] 118.16 None 118.195 118.19 118.2 118.2 118.18 0.035 -0.005 -0.01 -0.02 NaN -0.015 9759 BOBL caleb_strategy_v3 [-1] 118.16 None 118.175 118.17 118.18 118.18 118.18 0.015 -0.005 0.01 -0.0 NaN 0.005 9762 EURIBOR-ICE caleb_strategy_v3 [-1] 97.89 None 97.9025 97.9 97.905 97.905 97.895 0.0125 -0.0025 -0.005 -0.01 NaN -0.0075 9763 EURIBOR-ICE caleb_strategy_v3 [-1] 97.89 None 97.8975 97.895 97.9 97.9 97.9 0.0075 -0.0025 0.005 -0.0 NaN 0.0025 9764 GAS_US_mini caleb_strategy_v3 [1] 2.58 None 2.435 2.44 2.43 2.43 2.435 0.145 -0.005 0.005 -0.005 NaN 0.0 9766 SUGAR11 caleb_strategy_v3 [-1] 21.08 None 21.0 21.0 21.0 21.0 21.43 -0.08 -0.0 0.43 0.43 NaN 0.43 9765 GOLD_micro caleb_strategy_v3 [1] 2053.4 None 2041.5 2041.6 2041.4 2041.4 2041.4 11.9 -0.1 0.2 0.0 NaN 0.1 9767 GOLD_micro caleb_strategy_v3 [1] 2053.4 None 2041.4 2041.5 2041.3 2041.3 2041.3 12.0 -0.1 0.2 0.0 NaN 0.1 9768 US10 caleb_strategy_v3 [1] 112.625 None 112.179688 112.1875 112.171875 112.171875 112.203125 0.445312 -0.007812 -0.015625 -0.03125 NaN -0.023438 9771 US10 caleb_strategy_v3 [1] 112.625 None 112.195312 112.203125 112.1875 112.1875 112.21875 0.429688 -0.007812 -0.015625 -0.03125 NaN -0.023438 9769 MXP caleb_strategy_v3 [1] 0.05859 None 0.057795 0.0578 0.05779 NaN 0.0578 0.000795 -0.000005 0.0 NaN NaN -0.000005 9772 MXP caleb_strategy_v3 [1] 0.05859 None 0.057795 0.0578 0.05779 0.05779 0.05779 0.000795 -0.000005 0.00001 0.0 NaN 0.000005 9770 SP500_micro caleb_strategy_v3 [1] 4811.25 None 4792.875 4793.0 4792.75 4792.75 4793.25 18.375 -0.125 -0.25 -0.5 NaN -0.375 9773 SP500_micro caleb_strategy_v3 [1] 4811.25 None 4793.125 4793.25 4793.0 4793.0 4795.25 18.125 -0.125 -2.0 -2.25 NaN -2.125 =============================================================================================================================================================== Slippage (normalised by annual vol, BP of annual SR) =============================================================================================================================================================== instrument_code strategy_name trade last_annual_vol delay_vol bid_ask_vol execution_vol versus_limit_vol versus_parent_limit_vol total_trading_vol 9757 JGB-SGX-mini caleb_strategy_v3 [1] 4.950624 363.590558 -20.199475 0.0 -40.398951 NaN -20.199475 9758 NIKKEI caleb_strategy_v3 [1] 5196.938717 803.357559 -4.810524 9.621049 0.0 NaN 4.810524 9760 BOBL caleb_strategy_v3 [-1] 5.307004 47.107561 -9.421512 18.843024 -0.0 NaN 9.421512 9761 BOBL caleb_strategy_v3 [-1] 5.307004 65.950585 -9.421512 -18.843024 -37.686048 NaN -28.264536 9759 BOBL caleb_strategy_v3 [-1] 5.307004 28.264536 -9.421512 18.843024 -0.0 NaN 9.421512 9762 EURIBOR-ICE caleb_strategy_v3 [-1] 1.071024 116.7107 -23.34214 -46.68428 -93.36856 NaN -70.02642 9763 EURIBOR-ICE caleb_strategy_v3 [-1] 1.071024 70.02642 -23.34214 46.68428 -0.0 NaN 23.34214 9764 GAS_US_mini caleb_strategy_v3 [1] 1.835358 790.036764 -27.242647 27.242647 -27.242647 NaN 0.0 9766 SUGAR11 caleb_strategy_v3 [-1] 6.845589 -116.86358 -0.0 628.141742 628.141742 NaN 628.141742 9765 GOLD_micro caleb_strategy_v3 [1] 254.143164 468.240019 -3.93479 7.86958 0.0 NaN 3.93479 9767 GOLD_micro caleb_strategy_v3 [1] 254.143164 472.174809 -3.93479 7.86958 0.0 NaN 3.93479 9768 US10 caleb_strategy_v3 [1] 7.6459 582.420012 -10.217895 -20.43579 -40.87158 NaN -30.653685 9771 US10 caleb_strategy_v3 [1] 7.6459 561.984222 -10.217895 -20.43579 -40.87158 NaN -30.653685 9769 MXP caleb_strategy_v3 [1] 0.006523 1218.702124 -7.664793 0.0 NaN NaN -7.664793 9772 MXP caleb_strategy_v3 [1] 0.006523 1218.702124 -7.664793 15.329586 0.0 NaN 7.664793 9770 SP500_micro caleb_strategy_v3 [1] 551.000691 333.484156 -2.2686 -4.537199 -9.074399 NaN -6.805799 9773 SP500_micro caleb_strategy_v3 [1] 551.000691 328.946956 -2.2686 -36.297595 -40.834795 NaN -38.566195 ======================================================================================================================================================================== Slippage (In base currency) ======================================================================================================================================================================== instrument_code strategy_name trade value_of_price_point delay_cash bid_ask_cash execution_cash versus_limit_cash versus_parent_limit_cash total_trading_cash 9757 JGB-SGX-mini caleb_strategy_v3 [1] 684.661863 123.239135 -6.846619 0.0 -13.693237 NaN -6.846619 9758 NIKKEI caleb_strategy_v3 [1] 0.684662 285.846328 -1.711655 3.423309 0.0 NaN 1.711655 9760 BOBL caleb_strategy_v3 [-1] 1091.9 27.2975 -5.4595 10.919 -0.0 NaN 5.4595 9761 BOBL caleb_strategy_v3 [-1] 1091.9 38.2165 -5.4595 -10.919 -21.838 NaN -16.3785 9759 BOBL caleb_strategy_v3 [-1] 1091.9 16.3785 -5.4595 10.919 -0.0 NaN 5.4595 9762 EURIBOR-ICE caleb_strategy_v3 [-1] 2729.75 34.121875 -6.824375 -13.64875 -27.2975 NaN -20.473125 9763 EURIBOR-ICE caleb_strategy_v3 [-1] 2729.75 20.473125 -6.824375 13.64875 -0.0 NaN 6.824375 9764 GAS_US_mini caleb_strategy_v3 [1] 2500.0 362.5 -12.5 12.5 -12.5 NaN 0.0 9766 SUGAR11 caleb_strategy_v3 [-1] 1120.0 -89.6 -0.0 481.6 481.6 NaN 481.6 9765 GOLD_micro caleb_strategy_v3 [1] 10.0 119.0 -1.0 2.0 0.0 NaN 1.0 9767 GOLD_micro caleb_strategy_v3 [1] 10.0 120.0 -1.0 2.0 0.0 NaN 1.0 9768 US10 caleb_strategy_v3 [1] 1000.0 445.3125 -7.8125 -15.625 -31.25 NaN -23.4375 9771 US10 caleb_strategy_v3 [1] 1000.0 429.6875 -7.8125 -15.625 -31.25 NaN -23.4375 9769 MXP caleb_strategy_v3 [1] 500000.0 397.5 -2.5 0.0 NaN NaN -2.5 9772 MXP caleb_strategy_v3 [1] 500000.0 397.5 -2.5 5.0 0.0 NaN 2.5 9770 SP500_micro caleb_strategy_v3 [1] 5.0 91.875 -0.625 -1.25 -2.5 NaN -1.875 9773 SP500_micro caleb_strategy_v3 [1] 5.0 90.625 -0.625 -10.0 -11.25 NaN -10.625 delay_cash Sum delay_cash strategy_name instrument_code caleb_strategy_v3 BOBL 81.8925 EURIBOR-ICE 54.595 GAS_US_mini 362.5 GOLD_micro 239.0 JGB-SGX-mini 123.239135 MXP 795.0 NIKKEI 285.846328 SP500_micro 182.5 SUGAR11 -89.6 US10 875.0 delay_cash Total Sum delay_cash strategy_name caleb_strategy_v3 2909.972963 bid_ask_cash Sum bid_ask_cash strategy_name instrument_code caleb_strategy_v3 BOBL -16.3785 EURIBOR-ICE -13.64875 GAS_US_mini -12.5 GOLD_micro -2.0 JGB-SGX-mini -6.846619 MXP -5.0 NIKKEI -1.711655 SP500_micro -1.25 SUGAR11 -0.0 US10 -15.625 bid_ask_cash Total Sum bid_ask_cash strategy_name caleb_strategy_v3 -74.960523 execution_cash Sum execution_cash strategy_name instrument_code caleb_strategy_v3 BOBL 10.919 EURIBOR-ICE 0.0 GAS_US_mini 12.5 GOLD_micro 4.0 JGB-SGX-mini 0.0 MXP 5.0 NIKKEI 3.423309 SP500_micro -11.25 SUGAR11 481.6 US10 -31.25 execution_cash Total Sum execution_cash strategy_name caleb_strategy_v3 474.942309 versus_limit_cash Sum versus_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL -21.838 EURIBOR-ICE -27.2975 GAS_US_mini -12.5 GOLD_micro 0.0 JGB-SGX-mini -13.693237 MXP 0.0 NIKKEI 0.0 SP500_micro -13.75 SUGAR11 481.6 US10 -62.5 versus_limit_cash Total Sum versus_limit_cash strategy_name caleb_strategy_v3 330.021263 versus_parent_limit_cash Sum versus_parent_limit_cash strategy_name instrument_code caleb_strategy_v3 BOBL 0 EURIBOR-ICE 0 GAS_US_mini 0 GOLD_micro 0 JGB-SGX-mini 0 MXP 0 NIKKEI 0 SP500_micro 0 SUGAR11 0 US10 0 versus_parent_limit_cash Total Sum versus_parent_limit_cash strategy_name caleb_strategy_v3 0 total_trading_cash Sum total_trading_cash strategy_name instrument_code caleb_strategy_v3 BOBL -5.4595 EURIBOR-ICE -13.64875 GAS_US_mini 0.0 GOLD_micro 2.0 JGB-SGX-mini -6.846619 MXP 0.0 NIKKEI 1.711655 SP500_micro -12.5 SUGAR11 481.6 US10 -46.875 total_trading_cash Total Sum total_trading_cash strategy_name caleb_strategy_v3 399.981786 ******************************************************************************** END OF REPORT 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